Adaptive Multicut Aggregation Method for Solving Two-stage Stochastic Convex Programming with Recourse
نویسندگان
چکیده
منابع مشابه
Adaptive multicut aggregation for two-stage stochastic linear programs with recourse
Outer linearization methods for two-stage stochastic linear programs with recourse, such as the L-shaped algorithm, generally apply a single optimality cut on the nonlinear objective at each major iteration, while the multicut version of the algorithm allows for several cuts to be placed at once. In general, the Lshaped algorithm tends to have more major iterations than the multicut algorithm. ...
متن کاملOn Adaptive Multicut Aggregation for Two-Stage Stochastic Linear Programs with Recourse
Outer linearization methods for two-stage stochastic linear programs with recourse, such as the L-shaped algorithm, generally apply a single optimality cut on the nonlinear objective at each major iteration, while the multicut version of the algorithm allows for several cuts to be placed at once. In general, the Lshaped algorithm tends to have more major iterations than the multicut algorithm. ...
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ژورنال
عنوان ژورنال: Modern Applied Science
سال: 2008
ISSN: 1913-1852,1913-1844
DOI: 10.5539/mas.v2n5p122